@phdthesis{Geburtig2025, author = {Geburtig, Ingo}, title = {Three essays on corporate loans}, doi = {10.17904/ku.opus-1009}, url = {http://nbn-resolving.de/urn:nbn:de:bvb:824-opus4-10093}, school = {Katholische Universit{\"a}t Eichst{\"a}tt-Ingolstadt}, pages = {180 Seiten : Diagramme}, year = {2025}, abstract = {1. Dual holdings and shareholder-creditor agency conflicts: Evidence from the syndicated loan market We examine implications from the expansion of private equity (PE) firms into the CLO (i.e. leveraged lending) business. Due to similarities in the investment universes of CLO managers and PE firms, asset management groups running both of them frequently hold debt and equity claims of the same company. Our results indicate lower credit costs for these companies through mitigation of shareholder-creditor agency conflicts. The lower funding costs imply increased equity returns for the sponsoring PE firms. In addition, our findings suggest that PE-affiliated CLO managers benefit from informed trading in the secondary leveraged loan market. 2. Affiliated investment bias in collateralized loan obligations Collateralized loan obligation (CLO) managers are often part of asset management groups that also operate private equity (PE) firms. This paper examines whether these CLO managers exhibit a bias towards loans to companies sponsored by their affiliated PE firms. We find that CLO managers overweight these affiliated investments in their portfolios. Purchase level analyses reveal that the positive relationship between affiliation and investment is highly concentrated in primary market trades. Evidence suggests that the affiliated investment bias is partially explained by group-level incentives to support the funding of the PE firm's portfolio companies. Moreover, preferential allocations by loan arrangers contribute to the observed bias. 3. Revisions to the Basel securitization framework and their impact on CLOs In December 2017, the European regulation on capital requirements for securitizations was comprehensively revised. This paper examines the impact of these revisions on collateralized loan obligations (CLOs). A comparison of the results of risk weight calculations for a typical CLO under the previous and revised frameworks shows an overall increase in capital requirements. The increase is particularly pronounced under the new standardized approach (SEC-SA). However, difference-in-difference analyses of credit spreads indicate no effect of the higher capital requirements on the interest rates of CLO tranches. These results suggest that the cost of regulatory capital requirements for banks is limited.}, subject = {Collateralized loan obligation}, language = {en} } @phdthesis{Cara2025, author = {Cara, Christian}, title = {Three essays on asset management and capital allocation}, doi = {10.17904/ku.opus-1013}, url = {http://nbn-resolving.de/urn:nbn:de:bvb:824-opus4-10132}, school = {Katholische Universit{\"a}t Eichst{\"a}tt-Ingolstadt}, pages = {92 Seiten : Diagramme}, year = {2025}, abstract = {This dissertation explores key challenges and innovations in contemporary asset management through three self-contained empirical essays. Each paper examines a distinct but interrelated topic in portfolio construction, contributing to a more resilient and practically viable approach to investing. Paper 1: The Performance of Risk-Based Asset Allocation in Downward Markets - An Empirical Examination The first paper investigates the effectiveness of risk-based portfolio strategies - such as minimum variance, equal risk contribution, and risk parity - during periods of market stress. Motivated by the shortcomings of return-optimized models in crisis periods, the paper conducts an extensive backtest using a multi-asset dataset across several downturns. It finds that risk-based strategies consistently offer superior downside protection and more stable performance compared to traditional approaches. These results underscore the robustness of risk-focused allocations when facing uncertain or volatile markets. Paper 2: A Performance "Horse Race": Does Anything Beat the 1/N Portfolio? The second paper revisits the enduring puzzle of the 1/N (equal-weighted) portfolio's performance. Despite its simplicity, previous research has shown it often rivals or outperforms optimized strategies. Using an expanded dataset and robust methodology, this paper compares a wide range of portfolio construction techniques - including mean-variance optimization and shrinkage methods - against the 1/N benchmark. The findings reaffirm the strong performance of the na{\"i}ve strategy, particularly when estimation error and real-world frictions are considered. While some optimized models perform better in specific contexts, none dominate consistently. Paper 3: Index Tracking in Crisis Periods - An Empirical Investigation of the German DAX Index The third paper shifts focus to passive investment strategies, specifically the accuracy and stability of index tracking during market crises. Using the German DAX as a case study, the paper compares multiple tracking approaches - such as constrained regression and relative optimization - under both normal and crisis conditions. Results reveal that tracking performance deteriorates notably in turbulent markets, with simpler, constraint-based methods offering more consistent tracking accuracy. This highlights the limitations of passive strategies under stress and points to the need for more adaptive frameworks.}, subject = {Portfoliomanagement}, language = {en} }